Empirical studies find that newly optionable .stocks exhibit positive cumulative excess returns. Previous research, however, is split on the presence of an announcement effect for pending listings. This study finds that the presence in the sample of contemporaneous announcements—particularly announcements of listings themselves—skews the results in favor of rejecting the null hypothesis. When the
... [Show full abstract] data points in question are removed, no significant announcement period effect is detected. These results imply that for option listings, and perhaps other types of events, the failure to remove observations with simultaneous and potentially confounding announcements not only introduces noise into an analysis, but also can lead to biased results.